ANALYSIS OF THE RELATIONSHIP BETWEEN INFLATION AND EXCHANGE RATE IN THE APPLICATION OF UNCONVENTİONAL MONETARY POLICY

Abstract

Before the global financial crisis of 2007-08, most of our knowledge about unconventional monetary policy came from studies of Japan’s lost decade. Following the collapse of Lehman Brothers, central banks of advanced economies faced the zero bound of nominal interest rates. In return for that the central banks have responded to the recent financial crisis with unconventional monetary policy measures. On the other hand, the Central Bank of the Republic of Turkey has adopted an unconventional approach since May 2010.

In this study, we ask the question why central banks need to resort to unconventional monetary policy measures and to what properties of these instruments’. In addition, we present the transmission mechanism of quantitative easing and the international experiences with unconventional monetary policy measures.

To this end, we use the Granger causality test in order to investigate the relationship between inflation and the real exchange rate changes as one of the major determinants during this period for the Turkish economy. Our analysis reveal that the changes in inflation are correlated with real exchange rate differentials. 

 

Keywords

• Unconventional Monetary Policy,Real Exchange Rate,Inflation

GELENEKSEL OLMAYAN PARA POLİTİKASI UYGULAMASINDA ENFLASYON İLE DÖVİZ KURU ARASINDAKİ NEDENSELLİK İLİŞKİSİNİN ANALİZİ

Abstract

2007-08 küresel finans krizi öncesinde geleneksel olmayan para po- litikasıyla ilgili bilgilerimizin çoğunluğu Japonya’nın kayıp onyılına da- yanmaktaydı. Lehman Brothers’ın iflasından sonra gelişmiş ülke merkez bankaları politika faizlerinde sıfır alt bandıyla karşı karşıya kaldılar. Buna karşılık olarak merkez bankaları geleneksel olmayan para politikası araç- larına başvurdular. Türkiye Cumhuriyet Merkez Bankası da Mayıs 2010 itibariyle geleneksel olmayan para politikası uygulamaktadır.

Bu çalışmada, merkez bankalarının geleneksel olmayan para politikası araçlarına başvurma nedenleri sorgulanmış ve bu araçların özellikleri açık- lanmıştır. Ayrıca, niceliksel genişleme aktarım mekanizması ve geleneksel olmayan para politikası uluslararası uygulamaları anlatılmaktadır.

Bu amaçla, geleneksel olmayan para politikasının uygulandığı dönem- de Türkiye ekonomisi için enflasyon ve reel döviz kuru arasındaki ilişki Granger nedensellik testi ile analiz edilmiştir. Analiz sonucunda, enflas- yondaki değişimlerin reel döviz kuru değişimleri ile kısa ve uzun dönemde ilişkili olduğu bulgusuna ulaşılmıştır. 

Keywords

• Geleneksel Olmayan Para Politikası,Reel Döviz Kuru,Enflasyon

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